Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Nov 03 (2D) Nov 04 (3D) Nov 05 (4D) Nov 06 (5D) Nov 07 (6D) Nov 10 (9D) Nov 11 (10D) Nov 12 (11D) Nov 13 (12D) Nov 14 (13D) Nov 21 (20D) Nov 28 (27D) Dec 05 (34D) Dec 12 (41D) Dec 19 (48D) Dec 26 (55D)
lower 673.255 671.276 669.608 668.138 666.809 663.381 662.371 661.41 660.492 659.611 654.216 649.708 645.755 642.193 638.924 635.885
upper 690.865 692.844 694.512 695.982 697.311 700.739 701.749 702.71 703.628 704.509 709.904 714.412 718.365 721.927 725.196 728.235
expected move 8.805 10.784 12.452 13.922 15.251 18.679 19.689 20.65 21.568 22.449 27.844 32.352 36.305 39.867 43.136 46.175
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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